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Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market

Shi, Huai-Long; Zhou, Wei-Xing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013186512

Do US and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?

Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013186556

Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies

Bagchi, Bhaskar; Dandapat, Dhrubaranjan; Chatterjee, Susmita - 2016 - First edition.

This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and … stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility …Front Cover -- Dynamic Linkages and Volatility Spillover -- Copyright Page -- Contents -- Foreword -- Abstract …

Persistent link: https://www.econbiz.de/10012682523

Beta and size equity premia following a high-VIX threshold

Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517

Persistent link: https://www.econbiz.de/10013287992

Survey Forecasts, Sentiment, and Stock Market Volatility

Kuang, Pei; Tang, Li; Zhang, Renbin; Zhang, Tongbin - 2022

This paper documents new evidence that survey forecasts of stock prices are not anchored by forecasts of economic fundamentals in US stock markets. This evidence is at odds with a wide range of asset pricing models with various information assumptions. The paper develops and estimates a stock...

Persistent link: https://www.econbiz.de/10013289310

A Stochastic Analysis of Stock Market Price Fluctuations for Capital Market

Osu, Bright O.; Amadi, I. U. - 2022

This paper studied the stochastic analysis of stock market expected returns for investors. The detailed conditions for obtaining the drifts, volatilities and variances of four different stocks were considered. We compared the variances of four different stocks using our criteria for selection...

Persistent link: https://www.econbiz.de/10013289971

Spillovers and Portfolio Management between the Uncertainty Indices of Oil and Gold and G7 Stock Markets

Mensi, Walid; Ziadat, Salem Adel; Vo, Xuan Vinh; Kang, … - 2022

). Short-term spillover is the largest proportion of total volatility spillovers. Furthermore, the uncertainty indices are net …

Persistent link: https://www.econbiz.de/10013291222

Corporate Responses to Stock Price Fragility

Friberg, Richard; Goldstein, Itay; Hankins, Kristine Watson - 2022

This study shows that firms regard stock price fragility - exposure to non-fundamental demand shocks stemming from the composition of equity ownership - as a salient corporate risk. We model ex-ante corporate responses to higher potential for future stock market misvaluation and then empirically...

Persistent link: https://www.econbiz.de/10013291761

Financial Stress and Forecasting UK Equity Risk Premiums

Berry, William; Dietrich, Diemo; Sollis, Robert - 2022

We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...

Persistent link: https://www.econbiz.de/10013291975

Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility

van Binsbergen, Jules H. - 2022

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

Persistent link: https://www.econbiz.de/10013293433